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First exit time probability for multidimensional diffusions: A PDE-based approach · Study

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ArticleFirst exit time probability for multidimensional diffusions: A PDE-based approach

Pierre Patie2007

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Articlebronze2007

First exit time probability for multidimensional diffusions: A PDE-based approach

29 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Mathematical Approximation and Integration

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References

1996Handbook of Brownian Motion — Facts and Formulae 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 2002Handbook of Brownian Motion - Facts and Formulae 2004Fast deterministic pricing of options on Lévy driven assets 1999Absorbing boundaries and optimal stopping in a stochastic differential equation

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Year2007

Typearticle

Published2007-11-28

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2007.10.043

openalex_workW2045686556

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